The Relationship between Free Cash Flow to Firm Yield and Stock returns

• Main Authors: LIN, SAIN-JIE, 林賢傑
• Other Authors: CHEN, LI-WEN
• Format: Others
• Language: zh-TW
• Published: 2019
• Online Access: http://ndltd.ncl.edu.tw/handle/w2e94p

碩士 === 國立中正大學 === 財務金融系研究所 === 107 === This study explores whether the Free Cash Flow to Firm Yield (FCFF yield) is a stable and predictable investment signal. In addition to the definition, FCFF yield has another way to calculate, using Enterprise Value (EV) as the denominator of FCFF yield. Using two types of FCFF yield and including another compare variable EPR to conduct this study. Using Fama-Macbeth regressions and the portfolio construction, the empirical results indicate that the two variables FCFF yields can effectively predict the future stock returns, and the zero-investment portfolios can gain average monthly return of 0.92% and 0.95% respectively, approximately 11.62% and 12.01% annually, and the zero-investment portfolios also pass the robustness test. Using CAPM and three factors model, the empirical results indicate that the zero-investment portfolios can capture the information beyond the system risk and the three-factor model. These empirical results confirm that two types of FCFF yield are stable and effective investment signals.